Test for the equivalence of the covariance matrices for two or more multivariate samples marked with a group column. This is a test for homoscedasticity, as assumed by MANOVA.
The Box's M statistic is given together with a significance value based on an F test. Note that this test is supposedly very sensitive. This means that a high p value will be a good, although informal, indicator of equality, while a highly significant result (low p value) may in practical terms be a somewhat too sensitive indicator of inequality.
The statistic is computed as shown in the Past manual – note this equals the “-2 ln M” of some texts (Rencher 2002).
The Monte Carlo test is based on 999 random permutations (can fail for small data sets).
Missing data supported by column average substitution.
Reference
Rencher, A.C. 2002. Methods of Multivariate Analysis, 2nd ed. Wiley.